function result = logit(y,x,maxit,tol)
% PURPOSE: computes Logit Regression
%---------------------------------------------------
% USAGE: results = logit(y,x,maxit,tol)
% where: y = dependent variable vector (nobs x 1)
%        x = independent variables matrix (nobs x nvar)
%    maxit = optional (default=100)
%      tol = optional convergence (default=1e-6)
%---------------------------------------------------
% RETURNS: a structure
%        result.meth   = 'logit'
%        result.beta   = bhat
%        result.tstat  = t-stats
%        result.yhat   = yhat
%        result.resid  = residuals
%        result.sige   = e'*e/n
%        result.r2mf   = McFadden pseudo-R^2
%        result.rsqr   = Estrella R^2
%        result.lratio = LR-ratio test against intercept model
%        result.lik    = unrestricted Likelihood
%        result.cnvg   = convergence criterion, max(max(-inv(H)*g))
%        result.iter   = # of iterations
%        result.nobs   = nobs
%        result.nvar   = nvars
%        result.zip    = # of 0's
%        result.one    = # of 1's
%        result.y      = y data vector
% --------------------------------------------------
% SEE ALSO: prt(results), probit(), tobit()
%---------------------------------------------------
% References: Arturo Estrella (1998) 'A new measure of fit
% for equations with dichotmous dependent variable', JBES,
% Vol. 16, #2, April, 1998.


% written by:
% James P. LeSage, Dept of Economics
% Texas State University-San Marcos
% 601 University Drive
% San Marcos, TX 78666
%jlesage@spatial-econometrics.com
if (nargin < 2); error('Wrong # of arguments to logit'); end;
if (nargin > 4); error('Wrong # of arguments to logit'); end;
   
% check for all 1's or all 0's
tmp = find(y ==1);
chk = length(tmp); 
[nobs junk] = size(y);
if chk == nobs
   error('logit: y-vector contains all ones');
elseif chk == 0
   error('logit: y-vector contains no ones');
end;


% maximum likelihood logit estimation
result.meth = 'logit';

res = ols(y,x); % use ols values as start
[t k] = size(x);
b = res.beta;

if nargin == 2
tol = 0.000001;
maxit = 100;
elseif nargin ==3
tol = 0.000001;
end;

crit = 1.0;
i = ones(t,1);
tmp1 = zeros(t,k);
tmp2 = zeros(t,k);

iter = 1;
while (iter < maxit) & (crit > tol)

tmp = (i+exp(-x*b));
pdf = exp(-x*b)./(tmp.*tmp);
cdf = i./(i+exp(-x*b));

tmp = find(cdf <=0);
[n1 n2] = size(tmp);
if n1 ~= 0; cdf(tmp) = 0.00001; end;

tmp = find(cdf >= 1);
[n1 n2] = size(tmp);
if n1 ~= 0; cdf(tmp) = 0.99999; end;

% gradient vector for logit 
term1 = y.*(pdf./cdf); term2 = (i-y).*(pdf./(i-cdf));
for kk=1:k;
tmp1(:,kk) = term1.*x(:,kk);
tmp2(:,kk) = term2.*x(:,kk);
end;
g = tmp1-tmp2; gs = (sum(g))';
delta = exp(x*b)./(i+exp(x*b)); % see page 883 Green, 1997

H = zeros(k,k);
for ii=1:t;
xp = x(ii,:)';
H = H - delta(ii,1)*(1-delta(ii,1))*(xp*x(ii,:));
end;

db = -inv(H)*gs;
% stepsize determination
s = 2;
term1 = 0; term2 = 1;
while term2 > term1
 s = s/2;
 term1 = lo_like(b+s*db,y,x);
 term2 = lo_like(b+s*db/2,y,x);
end;

bn = b + s*db;
crit = abs(max(max(db)));
b = bn;
iter = iter + 1;
end; % end of while

% compute Hessian for inferences
delta = exp(x*b)./(i+exp(x*b)); % see page 883 Green, 1997
H = zeros(k,k);
for i=1:t;
xp = x(i,:)';
H = H - delta(i,1)*(1-delta(i,1))*(xp*x(i,:));
end;

% now compute regression results
covb = -inv(H);
stdb = sqrt(diag(covb));
result.tstat = b./stdb;

% fitted probabilities
prfit = ones(t,1)./(i+exp(-x*b));
result.resid = y - prfit;
result.sige = (result.resid'*result.resid)/t;

% find ones
tmp = find(y ==1);
P = length(tmp); 
cnt0 = t-P;
cnt1 = P;
P = P/t; % proportion of 1's
like0 = t*(P*log(P) + (1-P)*log(1-P)); % restricted likelihood
like1 = lo_like(b,y,x); % unrestricted Likelihood

result.r2mf = 1-(abs(like1)/abs(like0)); % McFadden pseudo-R2 
term0 = (2/t)*like0;
term1 = 1/(abs(like1)/abs(like0))^term0;
result.rsqr = 1-term1;  % Estrella R2

result.beta = b;
result.yhat = prfit;
result.lratio = 2*(like1-like0); % LR-ratio test against intercept model
result.lik   = like1;% unrestricted Likelihood
result.nobs  = t;    % nobs
result.nvar  = k;    % nvars
result.zip   = cnt0; % number of 0's
result.one   = cnt1; % number of 1's
result.iter  = iter; % number of iterations
result.convg = crit; % convergence criterion max(max(-inv(H)*g))
result.y = y;        % y data vector
